Fundamental Review of the Trading Book (FRTB) | Protiviti - United States

Fundamental Review of the Trading Book (FRTB)

Fundamental Review of the Trading Book (FRTB)

Fundamental Review of the Trading Book (FRTB)

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Plan now as regulatory demands will drive significant model and operational change by 2019.

FRTB will have an impact on every facet of your organization as the new requirements will substantially change both your operating and business models for trading. Financial institutions should be making plans to deal with what could come to be viewed as the most complicated set of requirements the industry has seen since the financial crisis.

Do you have the dedicated staff to make FRTB changes happen in time? Turn to Protiviti’s team of quantitative analysis experts, who bring Ph.D. level skills and training in financial engineering to the table. Let us help you meet these important FRTB deadlines.

Our Areas of Expertise

Risk Identification

We carefully evaluate the immediate and longer-term impacts that FRTB will have on your organization, including required updates to analytical methodologies, long-term data collection and redesigned processes and systems.

Model Development/Model Redesign

As FRTB changes the popular Value-at-Risk (VaR) framework to an Expected Shortfall (ES) approach, entirely new models are required. We will walk you through the steps to determine where either the Standardized Approach (SA) or the Internal Model Approach (IMA) is appropriate for your needs.

Model Validation

The Protiviti Model Risk team will validate your models compliant with the latest supervisory guidance to ensure your models are operating as intended.

Stress Testing

Stress Testing and back-testing are important components of FRTB implementations. We will work closely with your internal teams to ensure your systems and infrastructure are equipped to support the operational needs imposed by FRTB.

Data Management

Our Data Management and Advanced Analytics experts will help identify potential issues with your current data management systems, while also determining what new data infrastructure may be needed to meet FRTB demands.

Reporting

Reporting under the new standards will begin in January 2019. Our comprehensive approach to FRTB implementation includes developing model applications and reporting practices that will meet the strict FRTB requirements.